Short-Term Momentum (Almost) Everywhere

64 Pages Posted: 14 Mar 2019

See all articles by Adam Zaremba

Adam Zaremba

Montpellier Business School; Poznan University of Economics and Business; University of Cape Town

Andreas Karathanasopoulos

University of Dubai

Huaigang Long

Zhejiang University; Zhejiang University of Finance and Economics (ZUFE)

Date Written: February 22, 2019


Is there a short-term reversal effect outside the universe of individual stocks? To answer this, we investigate a comprehensive dataset of more than two centuries of returns on five major asset classes: equity indices, government bonds, treasury bills, commodities, and currencies. Contrary to stock-level evidence, we find a striking short-term momentum pattern: the most recent month’s return positively predicts future performance. The effect is not explained by established return predictors — including the standard momentum — and is robust to many considerations. The short-term momentum is strongest among assets of high idiosyncratic volatility and in periods of elevated return dispersion. Also, the strategy payoffs display partial commonality across different asset classes.

Keywords: short-term momentum, short-term reversal, early asset prices, long-term historical returns, equities, government bonds, treasury bills, currency, commodities

JEL Classification: G10, G11, G12, G14

Suggested Citation

Zaremba, Adam and Karathanasopoulos, Andreas and Long, Huaigang, Short-Term Momentum (Almost) Everywhere (February 22, 2019). Available at SSRN: or

Adam Zaremba (Contact Author)

Montpellier Business School ( email )

2300 Avenue des Moulins
Montpellier, Occitanie 34000


Poznan University of Economics and Business ( email )

al. Niepodległości 10
Poznań, 61-875

University of Cape Town

Cape Town
South Africa

Andreas Karathanasopoulos

University of Dubai ( email )

Dubai, 14143
United Arab Emirates

Huaigang Long

Zhejiang University ( email )

38 Zheda Road
Hangzhou, Zhejiang 310058

Zhejiang University of Finance and Economics (ZUFE) ( email )

Hangzhou, Zhejiang Province 310018

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